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Solving Deterministic and Stochastic Equilibrium Problems via Augmented Walrasian

Author

Listed:
  • Julio Deride

    (University of California Davis)

  • Alejandro Jofré

    (Universidad de Chile)

  • Roger J-B Wets

    (University of California Davis)

Abstract

We described a method to solve deterministic and stochastic Walras equilibrium models based on associating with the given problem a bifunction whose maxinf-points turn out to be equilibrium points. The numerical procedure relies on an augmentation of this bifunction. Convergence of the proposed procedure is proved by relying on the relevant lopsided convergence. In the two-stage versions of our models, deterministic and stochastic, we are mostly concerned with models that equip the agents with a mechanism to transfer goods from one time period to the next, possibly simply savings, but also allows for the transformation of goods via production.

Suggested Citation

  • Julio Deride & Alejandro Jofré & Roger J-B Wets, 2019. "Solving Deterministic and Stochastic Equilibrium Problems via Augmented Walrasian," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 315-342, January.
    • Handle: RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9733-1
    DOI: 10.1007/s10614-017-9733-1
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    References listed on IDEAS

    as
    1. Alejandro Jofré & Roger Wets, 2002. "Continuity Properties of Walras Equilibrium Points," Annals of Operations Research, Springer, vol. 114(1), pages 229-243, August.
    2. R. T. Rockafellar & Roger J.-B. Wets, 1991. "Scenarios and Policy Aggregation in Optimization Under Uncertainty," Mathematics of Operations Research, INFORMS, vol. 16(1), pages 119-147, February.
    3. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, April.
    4. Brown, Donald J & DeMarzo, Peter M & Eaves, B Curtis, 1996. "Computing Equilibria When Asset Markets Are Incomplete," Econometrica, Econometric Society, vol. 64(1), pages 1-27, January.
    5. Michael Magill & Martine Quinzii, 2002. "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262632543, April.
    6. Donald J. Brown & Felix Kubler, 2008. "Refutable Theories of Value," Lecture Notes in Economics and Mathematical Systems, in: Computational Aspects of General Equilibrium Theory, pages 1-10, Springer.
    7. A. Jofré & R. T. Rockafellar & R. J-B. Wets, 2017. "General economic equilibrium with financial markets and retainability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(1), pages 309-345, January.
    8. R. Saigal, 1983. "A Homotopy for Solving Large, Sparse and Structured Fixed Point Problems," Mathematics of Operations Research, INFORMS, vol. 8(4), pages 557-578, November.
    9. Donald Brown & Felix Kubler, 2008. "Computational Aspects of General Equilibrium Theory," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-76591-2, October.
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    Cited by:

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